We consider the following problem: the drift of the wealth process of two companies, modelled by a two-dimensional Brownian motion, is controllable such that the total drift adds up to a constant. The aim is to maximize the probability that both companies survive. We assume that the volatility of one company is small with respect to the other, and use methods from singular perturbation theory to construct a formal approximation of the value function. Moreover, we validate this formal result by explicitly constructing a strategy that provides a target functional, approximating the value function uniformly on the whole state space.

In this paper, we proposes and analyzes the mixed 4th-order Runge-Kutta scheme of conditional nonlinear perturbation (CNOP) approach for the EI Niño-Southern Oscillation (ENSO) model. This method consists of solving the ENSO model by using a mixed 4th-order Runge-Kutta method. Convergence, the local and global truncation error of this mixed 4th-order Runge-Kutta method are proved. Furthermore, optimal control problem is developed and the gradient of the cost function is determined.

We consider infinite-horizon optimal control problems. The main idea is to convert the problem into an equivalent finite-horizon nonlinear optimal control problem. The resulting problem is then solved by means of a direct method using Haar wavelets. A local property of Haar wavelets is applied to simplify the calculation process. The accuracy of the present method is demonstrated by two illustrative examples.

The paper is concerned with the finite element solution of the Poisson equation with homogeneous Dirichlet boundary condition in a three-dimensional domain. Anisotropic, graded meshes from a former paper are reused for dealing with the singular behaviour of the solution in the vicinity of the non-smooth parts of the boundary. The discretization error is analyzed for the piecewise linear approximation in the H1(Ω)- and L2(Ω)-norms by using a new quasi-interpolation operator. This new interpolant is introduced in order to prove the estimates for L2(Ω)-data in the differential equation which is not possible for the standard nodal interpolant. These new estimates allow for the extension of certain error estimates for optimal control problems with elliptic partial differential equations and for a simpler proof of the discrete compactness property for edge elements of any order on this kind of finite element meshes.

We pose an optimal control problem arising in a perhaps new model for retirement investing. Given a control function f and our current net worth X(t) for any t, we invest an amount f(X(t)) in the market. We need a fortune of M ‘superdollars’ to retire and want to retire as early as possible. We model our change in net worth over each infinitesimal time interval by the Itô process dX(t) = (1 + f(X(t)))dt + f(X(t))dW(t). We show how to choose the optimal f = f0 and show that the choice of f0 is optimal among all nonanticipative investment strategies, not just among Markovian ones.

In the present paper, we consider nonlinear optimal control problems with constraints on the state of the system. We are interested in the characterization of the value function without any controllability assumption. In the unconstrained case, it is possible to derive a characterization of the value function by means of a Hamilton-Jacobi-Bellman (HJB) equation. This equation expresses the behavior of the value function along the trajectories arriving or starting from any position x. In the constrained case, when no controllability assumption is made, the HJB equation may have several solutions. Our first result aims to give the precise information that should be added to the HJB equation in order to obtain a characterization of the value function. This result is very general and holds even when the dynamics is not continuous and the state constraints set is not smooth. On the other hand we study also some stability results for relaxed or penalized control problems.

The finite element approximation of optimal control problems forsemilinear elliptic partial differential equation is considered,where the control belongs to a finite-dimensional set and stateconstraints are given in finitely many points of the domain. Underthe standard linear independency condition on the active gradientsand a strong second-order sufficient optimality condition, optimalerror estimates are derived for locally optimal controls.

The numerical resolution of the low thrust orbital transfer problem around the Earth with the maximization of the final mass or minimization of the consumption is investigated. This problem is difficult to solve by shooting method because the optimal control is discontinuous and a homotopic method is proposed to deal with these difficulties for which convergence properties are established. For a thrust of 0.1 Newton and a final time 50% greater than the minimum one, we obtain 1786 switching times.